Bańbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - 2008
-technical summary 5
1 Introduction 7
2 Setting the priors for the VAR 10
2.1 Data 13
3 Forecast evaluation 14
3.1 Parsimony by lags … small models in forecast accuracy
and produces credible impulse responses, but that this performance is already obtained … forecast performance. This suggests that over-
parametrization can be an issue already for systems of fairly modest size and …